Erratum. Exact retrospective Monte Carlo computation of arithmetic average Asian options
From MaRDI portal
Publication:3580729
DOI10.1515/MCMA.2010.005zbMath1192.91179MaRDI QIDQ3580729
Mohamed Karim Sbai, Benjamin Jourdain
Publication date: 13 August 2010
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma.2010.005
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)